Liquidity, skewness and stock returns: evidence from Chinese Stock Market
Date
2011
Authors
Chen, L.
Li, S.
Wang, J.
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Journal article
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Asia-Pacific Financial Markets, 2011; 18(4):405-427
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Abstract
In this paper, a capital asset pricing model (CAPM) incorporating liquidity and skewness factors is proposed and tested by using the Chinese stock market data. The empirical results indicate that, under various market conditions, the liquidity-adjusted three-moment CAPM provides a better fit to the realized returns of various stock portfolios. Overall, this research reveals that illiquidity cost, liquidity risk and as well as skewness have important impacts on asset pricing in the Chinese stock market.
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Copyright 2010 Springer Science+Business Media, LLC